<PAGE>   1

                      SECURITIES AND EXCHANGE COMMISSION
                            WASHINGTON, D.C. 20549

                                  FORM 10-K

[X]      ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES 
         EXCHANGE ACT OF 1934 (FEE REQUIRED) FOR THE FISCAL YEAR ENDED JUNE 30,
         1997

         or

[ ]      TRANSITION REPORT PURSUANT TO SECTION 13 or 15(d) OF THE SECURITIES  
         EXCHANGE ACT OF 1934 (NO FEE REQUIRED) FOR THE TRANSITION PERIOD  
         FROM  _________ to _________


Commission file number 2-73692

              THE BALANCED OPPORTUNITY FUND LIMITED PARTNERSHIP
-------------------------------------------------------------------------------
---        (Exact name of Registrant as specified in its charter)

          Illinois                                36-3655854                   
--------------------------------         ----------------------------        
(State or other jurisdiction of                 (I.R.S. Employer               
incorporation or organization)                 Identification No.)             

233 South Wacker Drive, Suite 4500, Chicago, Illinois              60606  
-----------------------------------------------------            -------- 
Address of principal executive offices                           Zip Code 

Registrant's telephone number,     (312) 526-2000
                                --------------------

Securities registered pursuant to Section 12(b) of the Act:  None

Securities registered pursuant to Section 12(g) of the Act:
50,000 Units of Limited Partnership Interest

     Indicate by a check mark whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days.

YES [X]   NO [ ]

     Indicate by a check mark if disclosure of delinquent filers pursuant to
Item 405 of Regulation S-K is not contained herein, and will not be contained,
to the best of registrant's knowledge, in definitive proxy or information
statements incorporated by reference in Part III of this Form 10-K or any
amendment to this Form 10-K. [ ]

     The registrant is a limited partnership and, accordingly, has no voting
stock held by non-affiliates or otherwise.

     As of June 30, 1997, there were 2,078.9663 Units outstanding.

DOCUMENTS INCORPORATED BY REFERENCE
-----------------------------------

** Exhibit 1  June 30, 1997 Audited Financial Statement

                       TOTAL PAGES IN THIS REPORT   24
                                                  ------


<PAGE>   2

                                    PART I

ITEM 1.    BUSINESS

     The Balanced Opportunity Fund Limited Partnership (the "Fund" or the       
"Partnership"), an Illinois limited partnership organized in July 1989,
commenced trading on March 23, 1990.  The Fund conducts speculative trading of
commodity interests.  The general partner of the Fund is Rodman & Renshaw
Futures Management, Inc. (the "General Partner").  Rodman & Renshaw, Inc.
("Rodman"), an affiliate of the General Partner, is the Partnership's commodity
broker and selling agent. Rodman and the General Partner are wholly owned
subsidiaries of Rodman & Renshaw Capital Group, Inc.  The General Partner has
retained RXR, Inc. ("RXR") as the Trading Manager.

     Approximately 80 percent of the Fund's assets at the commencement of
trading was invested in zero coupon United States Government Treasury
securities ("Stripped Notes") so as to yield (i) $1,000 per unit, plus (ii) a
five percent compound annual yield approximately six and one-half years after
the commencement of trading (the "Guaranteed Yield Pool").  Due to the interest
rate sensitivity of the market value of the Stripped Notes, persons who redeem
prior to the end of the approximate six and one-half year period noted above
have no such assured return.  The Guaranteed Yield Pool note matured in
February 1997 and in accordance with the Fund's limited partnership agreement a
special redemption at the Fund's net asset market value was offered to
investors on February 28, 1997.  A new Stripped Note was purchased after the
special redemption offer expired. As of June 30, 1997 and 1996, the maturity
value of the Stripped Notes amounted to $3,900,000 and $5,162,000 respectively.
The remainder of the Fund assets were invested in  the Trading Company, in
which the Fund is the sole limited partner and possessor of substantially all
of the beneficial interest.

     The two tier structure of the Fund and the Trading Company insulates the
Guaranteed Yield Pool against any liability for losses which might be incurred
by the Trading Company.

     The Fund will terminate on December 31, 2009.

     The consolidated financial statements include the Trading Company and the
Guaranteed Yield Pool (collectively, the "Fund" or the "Partnership").

     Since July, 1995, the Partnership's broker has utilized an unrelated
clearing broker for clearing activities related to its commodity trading.
Margin requirements are satisfied by cash on deposit with such clearing broker
in segregated interest bearing accounts.

     The Trading Company pays Rodman an annual brokerage fee which 


                                      2
<PAGE>   3


is equal to an annual rate of four percent of the average month-end net assets  
as a whole, as defined, during the year.  Transaction fees and costs are
accrued on a round-turn basis.


     The General Partner administers the business and affairs of the Fund,
other than the selection of commodity transactions.  The Trading Manager
selects all commodities transactions and is not affiliated with the General
Partner within the meaning of the rules promulgated by the Securities and
Exchange Commission.

     RXR serves as the Trading Manager of the Trading Company.  Compensation to
RXR for this service consists of a monthly consulting fee and a quarterly
incentive fee as follows:

     Consulting Fee - The Trading Company pays a consulting fee equal to one
     percent of the month-end net assets annually (before reduction for any
     brokerage commissions or other charges as of such month-end) of the Fund
     as a whole.

     Incentive Fee - The Trading Company pays an incentive fee to RXR equal to  
     15 percent of any new trading profit (which includes interest income)
     achieved by the Trading Company in each calendar quarter.  Such incentive
     fee is accrued in each month in which "New Appreciation" occurs.  In those
     months in which "New Appreciation" is negative, previous accruals, if any,
     during the incentive period are reduced.  In those instances in which a
     limited partner redeems an investment, the incentive fee is to be paid to
     RXR through the calendar year quarter.

     The Trading Company incurs ongoing legal, accounting and administrative
     costs.

     The Fund has no employees.

     The Fund does not engage in operations in foreign countries.

Regulation

     Under the Commodity Exchange Act, as amended (the "Act"), commodity
exchanges and commodity futures trading are subject to regulation by the
Commodity Futures Trading Commission (the "CFTC").  The National Futures
Association (the "NFA"), a "registered futures association" under the Act, is
the only non-exchange self-regulatory organization for commodity industry
professionals.  The CFTC has delegated to the NFA responsibility for the
registration of "commodity trading advisors", "commodity pool operators",
"futures commission merchants", "introducing brokers", and their respective
associated persons and "floor brokers".  The Act requires "commodity pool
operators", such as the General Partner, "commodity trading advisors", such as
the Trading Manager, and "commodity brokers" or "futures commission merchants",


                                      3
<PAGE>   4

such as Rodman, to be registered and to comply with various reporting and
record keeping requirements.  The General Partner, the  Trading Manager and
Rodman are all members of the NFA.  The CFTC may suspend a commodity pool
operator's or trading advisor's registration if it finds that its trading
practices tend to disrupt orderly market conditions or in certain other
situations.  In the event that the General Partner's registration as a
commodity pool operator or the Trading Manager's registration as a commodity
trading advisor were terminated or suspended, the General Partner and the
Trading Manager, respectively, would be unable to continue to manage the
business of the Fund.  Should the General Partner's registration be suspended,
termination of the Fund might result.  The Act also requires Rodman, in its
capacity as a commodity broker, to be registered as a "futures commission
merchant".

     As members of the NFA, the General Partner, the Trading Manager and Rodman
are subject to NFA standards relating to fair trade practices, financial
condition and customer protection.  As the self regulatory body of the futures
industry, the NFA promulgates rules governing the conduct of commodity
professionals and disciplines those professionals which do not comply with such
standards.

     In addition to such registration requirements, the CFTC and  certain
commodity exchanges have established limits on the maximum net long and net
short positions which any person may hold or control in particular commodities.
The CFTC has adopted a rule requiring all domestic commodity exchanges to
submit speculative positions limits for all futures contracts traded on such
exchanges.  Most exchanges also limit the changes in commodity futures contract
prices that may occur during a single trading day.

ITEM 2.   PROPERTIES

     The Partnership does not own or lease any real property.  The General
Partner uses its offices to perform administrative services for the Fund at no
cost to the Fund.

ITEM 3.   LEGAL PROCEEDINGS

     The General Partner is not aware of any legal proceedings to which the
Fund or the General Partner is a party or to which any of their assets are
subject.

ITEM 4.   SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

     No matters were submitted during the quarter ending June 30, 1997 to a
vote of the holders of units of limited partnership interest ("Units") through
the solicitation of proxies or otherwise.


                                      4
<PAGE>   5

                                   PART II

ITEM 5.    MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED
           STOCKHOLDER MATTERS

     There is no established public trading market for the Units, nor will one
develop.  Units may be transferred or redeemed subject to the conditions
imposed by the Agreement of Limited Partnership.  As of June 30, 1997, a total
of 2,078.9663 Units were outstanding held by 166 Unit Holders, including
111.1143 Units of General Partnership interest.

     The General Partner has sole discretion in determining what distributions,
if any, the Partnership will make to its Unit Holders.  The General Partner has
not made any distributions as of the date hereof.

ITEM 6.    SELECTED FINANCIAL DATA

     On the following page is a summary of selected consolidated financial data
for the Partnership for the fiscal years ended June 30, 1997, 1996, 1995, 1994,
and 1993.



                                      5
<PAGE>   6


               THE BALANCED OPPORTUNITY FUND LIMITED PARTNERSHIP
                            SELECTED FINANCIAL DATA

<TABLE>
<CAPTION>
                                        June 30         June 30        June 30        June 30        June 30 
                                          1997            1996          1995           1994           1993
<S>                                   <C>             <C>            <C>            <C>            <C>
REVENUES:

Trading profit (loss)
 Realized                              $  335,000     $  (42,000)    $  576,000     $( 201,000)    $1,124,000
 Unrealized                               100,000        (84,000)      (387,000)       264,000        (11,000)
 Foreign currency gain (loss)                            (15,000)                       (1,000)         1,000
                                       ----------     ----------     ----------     ----------     ----------
   Total trading profit and
   foreign currency gain                  435,000       (141,000)       189,000         62,000      1,114,000
                                       ----------     ----------     ----------     ----------     ----------
Guaranteed Yield Pool:
 Accrued interest                          37,000        568,000        467,000        543,000        540,000
 Unrealized market value
   gain (loss)                             54,000       (168,000)        50,000       (391,000)       467,000
                                                      ----------     ----------     ----------     ----------
 Interest received                        497,000
 Realized loss                           (322,000)
   Total guaranteed yield              ----------
      pool revenue                        266,000        400,000        517,000        152,000      1,007,000
                                       ----------     ----------     ----------     ----------     ----------
Interest income                            45,000         35,000         33,000         18,000         28,000
Illinois replace tax refund                                               6,000
                                       ----------     ----------     ----------     ----------     ----------
   Total revenues                         746,000        294,000        745,000        232,000      2,149,000


EXPENSES:

 Commissions and fees                     205,000        261,000        205,000        427,000        397,000
 Consulting fees                           49,000         61,000         66,000         82,000        104,000
 Incentive fees                                                                                        62,000
 Administrative expenses                   54,000         64,000         68,000         73,000         78,000
                                       ----------     ----------     ----------     ----------     ----------
   Total expenses                         308,000        368,000        339,000        582,000        641,000
                                       ----------     ----------     ----------     ----------     ----------
NET INCOME (LOSS)                         438,000     $  (92,000)    $  406,000     $ (350,000)    $1,508,000
                                       ==========     ==========     ==========     ==========     ==========

TOTAL ASSETS                           $3,605,000     $5,557,000     $6,772,000     $7,593,000     $8,959,000
                                       ----------     ==========     ==========     ==========     ==========
TOTAL LIABILITIES                      $   44,000     $   78,000     $   51,000     $   33,000     $   40,000
                                       ----------     ----------     ----------     ----------     ----------
PARTNERS' CAPITAL:
 Limited partners (1,967.852,
   3,392.4502, 4,106.4502,
   4,985.7857, and 5,628.7807
   units outstanding in 1997,
   1996, 1995, 1994, and 1993
   respectively)                       $3,371,000     $5,305,000     $6,544,000     $7,395,000     $8,746,000

 General partner
   (111.1143 units)                       190,000        174,000        177,000        165,000        173,000
                                       ----------     ----------     ----------     ----------     ----------
TOTAL PARTNERS' CAPITAL                $3,561,000     $5,479,000     $6,721,000     $7,560,000     $8,919,000
                                       ----------     ----------     ----------     ----------     ----------
TOTAL LIABILITIES AND
 PARTNERS' CAPITAL                     $3,605,000     $5,557,000     $6,772,000     $7,593,000     $8,959,000
                                       ----------     ==========     ==========     ==========     ==========
NET ASSET VALUE PER UNIT               $1,712.760     $1,563.746     $1,593.492     $1,483.325     $1,533.906
                                       ==========     ==========     ==========     ==========     ==========
</TABLE>



                See notes to consolidated financial statements.


                                       6
<PAGE>   7


ITEM 7.   MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
          RESULTS OF OPERATIONS 

CAPITAL RESOURCES

     The purpose of the Fund is to trade commodity interests; as such, the Fund
does not have, nor does it expect to have, any capital assets and has no
material commitments for capital expenditures.  The Fund's use of assets is
solely to provide necessary margin, and to pay any losses incurred in
connection with its trading activity.

Liquidity

     Most United States commodity exchanges limit fluctuations in commodity
futures contract prices during a single day by regulations referred to as
"daily price fluctuation limits" or "daily limits".  During a single trading
day, no trades may be executed at a price beyond the daily limit.  Once the
price of a futures contract has reached the daily limit for that day, positions
in that contract can neither be taken nor liquidated.  Commodity futures prices
have occasionally moved the daily limit for several consecutive days with
little or no trading.  Similar occurrences could prevent the Fund from promptly
liquidating unfavorable positions and subject the Fund to substantial losses
that could exceed the margin initially committed to such trades.  In addition,
even if commodity futures prices have not moved the daily limit, the Fund may
not be able to execute futures trades at favorable prices if little trading in
such contracts is taking place.  Other than these limitations on liquidity,
which are inherent in the Fund's commodity interest trading operations, the
Fund's assets are highly liquid and are expected to remain so.

Results of Operations

     Trading operations posted a gain/loss of $435,000 for the year ended June
30, 1997, as compared to a net loss of $141,000 in 1996 and a net gain of
$189,000 in 1995.  The bullish momentum of the equity and bond markets as well
as the strengthening of the U.S. Dollar vs. most major foreign currencies
contributed significantly to Fund profits.  Uncertainty over interest rate
direction and a subsequent raise in interest rates diminished these gains
modestly, however the Fund still faired relatively well due to its global
diversification

     Higher valuations in the U.S. bond market created an unrealized gain   
in fiscal 1997 of $54,000 in the guaranteed yield pool. This is compared to an
unrealized loss of $168,000 in 1996 and a gain of $50,000 in 1995.

     The Guaranteed Yield Pool note matured in February 1997, resulting in a
realized loss of $322,000 for fiscal year 1997.



                                      7
<PAGE>   8


an aggregate redemption value of $2,356,000, $1,150,000 and $1,245,000, 
respectively.

ITEM 8.    FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

     The information required by this item is submitted as a separate section
of this report.  (See Index on page number 13).

ITEM 9.    CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND
           FINANCIAL DISCLOSURE

     There were no changes in or disagreements with accountants on accounting
and financial disclosure during the fiscal year ended June 30, 1997 and 1996.








                                      8
<PAGE>   9

                                   PART III

ITEM 10.   DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

     The Fund has no directors or executive officers.  The Fund is managed by
the General Partner.  There are no employees of the Fund.

     The Fund's General Partner is Rodman & Renshaw Futures Management, Inc., a
Delaware corporation.  The General Partner is a wholly-owned subsidiary of
Rodman & Renshaw Capital Group, Inc.  The address of the General Partner is 233
South Wacker Drive, Suite 4500, Chicago, Illinois 60606.  The telephone number
is (312) 526-2000.

     The principals of the General Partner are as follows:

     Francis Leo Kirby, age 52, has been President and a Director of the
General Partner since January 31, 1997, and Executive Vice President and a
Director of Rodman since June 24, 1994.  Mr. Kirby was Senior Vice President of
Oppenheimer & Co., Inc., a financial services firm, from May 1993 to June 1994.
Prior to joining Oppenheimer & Co., Inc., Mr. Kirby was an Executive Vice
President and Director of Rodman from 1981 to 1993.

     Thomas G. Pinou, age 37, has served as Treasurer and a Director of the
General Partner since January 31, 1997 and Associate Director of Accounting -
Division Controller of Rodman since August 12, 1996.  Prior to joining Rodman,
Mr. Pinou was Vice President of Firm Trading for Yamaichi International, Inc.
from June 1994 to May 1996.  Before that, Mr. Pinou was Assistant Treasurer of
Equity Trading Division for Bankers Trust Securities from September 1991 to
June 1994.



ITEM 11.   EXECUTIVE COMPENSATION

     The Fund is managed by its General Partner.  Neither the General Partner
nor its executives or employees receive direct compensation from the Fund.
There are no compensation plans or arrangements relating to a change in control
of either the Fund or the General Partner.

ITEM 12.   SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT

     As of June 30, 1997, (a) there were 166 partners in The Balanced
Opportunity Fund Limited Partnership, of which one partner, Baptist Medical
System, with 250 units, was known to be the beneficial owner of more than five
percent of the units of limited partnership 



                                      9
<PAGE>   10

interest, (b) the General Partner, Rodman & Renshaw Futures Management, Inc.,   
was the beneficial owner of approximately 5.34% of the Fund, and (c) there were
no arrangements, known to the Fund, the operation of which may on a subsequent
date result in a change in control of the Fund.

ITEM 13.   CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

     Refer to Item 11.

     The Fund pays the following compensation to the firms that provide 
services to it:

     The brokerage rate paid by the Fund is approximately $50 per contract on a
round-turn basis adjusted to equal 4% of the Net Assets of the Fund annually.
For the fiscal year ended June 30, 1997, the Fund paid Rodman, an affiliated
Futures Commission Merchant of the General Partner, $205,000 in brokerage
commissions and fees.  In July, 1995, the Fund began to utilize an unrelated
clearing broker for clearing activities related to its commodity trading.

     RXR, Inc. acts as the Fund's commodity trading manager.  During the fiscal
year ended June 30, 1997, no incentive fees were paid.

                                   PART IV


ITEM 14.   EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K

   (a)     (1)  Financial Statements

      See "Index to Financial Statements" on page F-1 hereof.

      (2)    Financial Statement Schedules

      Schedule I - Marketable Securities - Other Investments

      Schedules for which provision is made in the applicable accounting
      regulations of the Securities and Exchange Commission are not required
      under the related instructions or are inapplicable, and therefore have
      been omitted.

      (3)    Exhibits as required by Item 601 Regulation S-K

           (3)  Articles of Incorporation and By-Laws

               3.1 Limited Partnership Agreement

           (10) Material Contracts



                                      10
<PAGE>   11


                10.1  Form of Brokerage Agreement between the Partnership and
                Rodman & Renshaw, Inc.

                10.2  Advisory Contract between the Partnership and RXR, Inc.

   (b) Reports on Form 8-K

                No reports were filed on Form 8-K during the quarter ended 
                June 30, 1997.







                                      11
<PAGE>   12


                                  SIGNATURES


Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the registrant has duly caused this report to be signed
on its behalf by the undersigned thereunto duly authorized.

          THE BALANCED OPPORTUNITY FUND LIMITED PARTNERSHIP         
                                                                    
                                                                    
                                                                    
By:  ________________________________________                         
     Francis Leo Kirby                                           
     President of Rodman & Renshaw Futures  Management, Inc.,    
     General Partner                                             
     Date:   September 26, 1997                                  







Pursuant to the requirements of the Securities Exchange Act of 1934, this
report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.


<TABLE>
<CAPTION>

Signature                    Title                              Date
---------------              -----                              ----

<S>                          <C>                            <C>
                             President and a Director of     September 26, 1997
------------------------     Rodman & Renshaw Futures 
Francis Leo Kirby            Management, Inc., General Partner
                                                                           

                             Treasurer and a Director of     September 26, 1997
------------------------     Rodman & Renshaw Futures 
Thomas G. Pinou              Management, Inc., General Partner
</TABLE>



                                      12
<PAGE>   13



              THE BALANCED OPPORTUNITY FUND LIMITED PARTNERSHIP


         Report on FORM 10-K for the Fiscal Year ended June 30, 1997


                   FINANCIAL STATEMENTS AND SCHEDULE INDEX


<TABLE>
<CAPTION>

                                                          Sequential Page
                                                          ---------------
<S>                                                             <C>
                                                                
Independent Auditors' Reports............................        14


Statements of Financial Condition as of
June 30, 1997 and 1996 ..................................        15


Statements of Operations for the Years ended
June 30, 1997, 1996, and 1995............................        16


Statements of Changes in Partners' Capital
for the years ended June 30, 1997, 1996, and 1995........        17


Notes to Financial Statements............................        18
</TABLE>





                                      13
<PAGE>   14

                                      
                      [LETTERHEAD OF COOPERS & LYBRAND]


INDEPENDENT AUDITOR'S REPORT



The Partners of The Balanced Opportunity
 Fund Limited Partnership

We have audited the accompanying consolidated statements of financial
condition of The Balanced Opportunity Fund Limited Partnership (the
"Partnership") as of June 30, 1997 and 1996, and the related consolidated
statements of operations and changes in partners' capital for the years ended
June 30, 1997, 1996 and 1995. These consolidated financial statements are the
responsibility of the Partnership's General Partner. Our responsibility is to
express an opinion on these consolidated financial statements based on our
audits.

We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the consolidated financial
statements are free of material misstatement. An audit includes examining, on
a test basis, evidence supporting the amounts and disclosures in the
consolidated financial statements. An audit also includes assessing the
accounting principles used and significant estimates made by management, as
well as evaluating the overall consolidated financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the consolidated financial statements referred to above
present fairly, in all material respects, the consolidated financial position
of The Balanced Opportunity Fund Limited Partnership as of June 30, 1997 and
1996, and the results of its operations for the years ended June 30, 1997,
1996 and 1995 in conformity with generally accepted accounting principles.


/s/ Coopers & Lybrand L.L.P.

Chicago, Illinois
September 22, 1997


<PAGE>   15

THE BALANCED OPPORTUNITY FUND 
LIMITED PARTNERSHIP

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION 
June 30, 1997 and 1996

<TABLE>
<CAPTION>
                                 ASSETS                                              1997                1996
<S>                                                                               <C>               <C>
Equity in commodity futures trading accounts:
   Cash                                                                           $  714,000         $  568,000
   Net unrealized gain on open contracts                                             103,000             -
                                                                                  ----------         ----------
         Total equity in commodity futures trading accounts                          817,000            568,000
                                                                                  ----------         ----------
   Guaranteed yield pool - at market                                               2,783,000          4,987,000

   Illinois replacement tax receivable                                                 1,000              1,000

   Interest receivable                                                                 2,000             -

   Other receivables                                                                   2,000              1,000
                                                                                  ----------         ----------
         Total assets                                                             $3,605,000         $5,557,000
                                                                                  ==========         ==========

               LIABILITIES AND PARTNERS' CAPITAL
Liabilities:
   Accrued administrative expenses                                                $   20,000         $   40,000
   Accrued commissions and fees                                                       24,000             38,000
                                                                                  ----------         ----------
         Total liabilities                                                            44,000             78,000
                                                                                  ----------         ----------
Partners' capital:
   Limited partners (units outstanding:
     1997 - 1,967.8520; 1996 - 3,392.4502)                                         3,371,000          5,305,000
   General partner (units outstanding: 111.1143)                                     190,000            174,000
                                                                                  ----------         ----------   
         Total partners' capital                                                   3,561,000          5,479,000
                                                                                  ----------         ----------
         Total liabilities and partners' capital                                  $3,605,000         $5,557,000
                                                                                  ==========         ==========
Net asset value per unit                                                          $1,712.760         $1,563.746
                                                                                  ==========         ==========
</TABLE>








The accompanying notes are an integral part of the consolidated financial 
statements. 


                                      2
<PAGE>   16

THE BALANCED OPPORTUNITY FUND 
LIMITED PARTNERSHIP

CONSOLIDATED STATEMENTS OF OPERATIONS 
for the years ended June 30, 1997, 1996 and 1995

<TABLE>
<CAPTION>
                                                                    1997                1996           1995
<S>                                                             <C>                  <C>             <C>
Revenues:
  Trading profit (loss):
    Realized                                                    $  335,000           $  (42,000)     $ 576,000
    Unrealized                                                     100,000              (99,000)      (387,000)
                                                                ----------           ----------      ---------
           Total trading profit and foreign
                 currency gain (loss)                              435,000             (141,000)       189,000
                                                                ----------           ----------      ---------
Guaranteed yield pool:
  Accrued interest                                                  37,000              568,000        467,000
  Interest received                                                497,000               -              -
  Unrealized market value gain (loss)                               54,000             (168,000)        50,000
  Realized loss                                                   (322,000)              -              -
                                                                ----------           ----------      ---------
           Total guaranteed yield pool revenue                     266,000              400,000        517,000
                                                                ----------           ----------      ---------
  Interest income                                                   45,000               35,000         33,000
  Illinois replacement tax refund                                    -                   -               6,000
                                                                ----------           ----------      ---------
           Total revenues                                          746,000              294,000        745,000
                                                                ----------           ----------      ---------
Expenses:
  Brokerage commissions and fees                                   205,000              261,000        205,000
  Consulting fees                                                   49,000               61,000         66,000
  Administrative expenses                                           54,000               64,000         68,000
                                                                ----------           ----------      ---------
           Total expenses                                          308,000              386,000        339,000
                                                                ----------           ----------      ---------
           Net income (loss)                                    $  438,000           $  (92,000)     $ 406,000
                                                                ==========           ==========      =========
Net income (loss) allocated to:
  General partner                                               $   16,000           $   (3,000)     $  12,000
                                                                ==========           ==========      =========
  Limited partners                                              $  422,000           $  (89,000)     $ 394,000
                                                                ==========           ==========      =========
Net income (loss) per limited partnership
   unit outstanding for entire period                           $  149.01            $   (29.75)     $  110.17
                                                                ==========           ==========      =========
</TABLE>

        The accompanying notes are an integral part of the consolidated
                             financial statements.
                                       
                                       
                                       
                                       3

<PAGE>   17
THE BALANCED OPPORTUNITY FUND
LIMITED PARTNERSHIP

CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
for the years ended June 30, 1997, 1996 and 1995

<TABLE>
<CAPTION>


                                             TOTAL
                                           UNITS OF
                                         PARTNERSHIP               LIMITED                 GENERAL
                                           INTEREST                PARTNERS                PARTNER                TOTAL

<S>                                    <C>                        <C>                      <C>                  <C>
 Partners' capital, June 30, 1994         5,096.9000              $7,395,000               $165,000             $7,560,000
                                                          
  Redemptions                              (879.3355)             (1,245,000)                     -             (1,245,000)
                                                          
  Net income                                   -                     394,000                 12,000                406,000
                                         -----------              ----------            -----------           ------------
 Partners' capital, June 30, 1995         4,217.5645               6,544,000                177,000              6,721,000
                                                          
  Redemptions                              (714.0000)             (1,150,000)                                   (1,150,000)
                                                          
  Net loss                                                           (89,000)                (3,000)               (92,000)
                                         -----------              ----------            -----------           ------------
 Partners' capital, June 30, 1996         3,503.5645               5,305,000                174,000              5,479,000
                                                          
  Redemptions                            (1,424.5982)             (2,356,000)                   -               (2,356,000)
                                                          
  Net income                                   -                     422,000                 16,000                438,000
                                         -----------              ----------            -----------           ------------
 Partners' capital, June 30, 1997         2,078.9663              $3,371,000               $190,000             $3,561,000
                                         ===========              ==========            ===========           ============
</TABLE>                                                  

50,000 units of limited partnership interest were available during the initial
     offering period. The Fund is closed and not presently selling additional
     units.


  The accompanying notes are an integral part of the consolidated financial
  statements.

                                      4

<PAGE>   18


THE BALANCED OPPORTUNITY FUND
LIMITED PARTNERSHIP
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

1.   ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

     ORGANIZATION

     The Balanced Opportunity Fund Limited Partnership (the "Fund" or the
     "Partnership"), an Illinois limited partnership organized in July, 1989,
     commenced trading on March 23, 1990. All of the Fund's trading takes place
     through Rodman Asset Allocation Management Limited Partnership (the
     "Trading Company"), an Illinois limited partnership, of which the Fund is
     the sole limited partner. The Fund controls all of the Trading Company's
     activities through its investment therein. The general partner for the
     Fund is Rodman & Renshaw Futures Management, Inc. (the "General Partner").
     The commodity broker and selling agent is Rodman & Renshaw, Inc.
     ("Rodman"). Both Rodman and the General Partner are wholly owned
     subsidiaries of Rodman & Renshaw Capital Group, Inc. The General Partner
     has retained RXR, Inc. ("RXR") as the trading manager.

     Approximately 80 percent of the Fund's assets at the commencement of
     trading was invested in zero coupon United States Government Treasury
     Securities ("Stripped Notes") so as to yield (i) $1,000 per unit, plus
     (ii) a five percent compound annual yield approximately six and one-half
     years after the commencement of trading (the "Guaranteed Yield Pool"). Due
     to the interest rate sensitivity of the market value of the Stripped
     Notes, persons who redeem prior to the dissolution date have no such
     assured return. The Guaranteed Yield Pool note matured in February 1997
     and in accordance with the Fund's limited partnership agreement a special
     redemption at the Fund's net asset market value was offered to investors
     on February 28, 1997. A new Stripped Note was purchased after the special
     redemption offer expired. As of June 30, 1997 and 1996, the maturity value
     of the Stripped Notes amounted to $3,900,000 and $5,162,000, respectively.
     The remainder of the Fund assets were invested in the Trading Company, in
     which the Fund is the sole limited partner and possessor of substantially
     all the beneficial interest.

     The two-tier structure of the Fund and the Trading Company insulates
     the Guaranteed Yield Pool against any liability for losses which might be
     incurred by the Trading Company. Consequently, the Fund controls all of
     the substantive activities of the Trading Company and, as such, has
     consolidated its results for financial reporting purposes.

     The consolidated financial statements include the Trading Company and
     the Guaranteed Yield Pool (collectively, the "Fund" or the "Partnership").

     The Fund has elected not to provide statements of cash flows as
     permitted by Statement of Financial Accounting Standards No. 102,
     "Statements of Cash Flows - Exemption of Certain Enterprises and
     Classification of Cash Flows from Certain Securities Acquired for Resale."

     The Fund will terminate on December 31, 2009.


                                      5


<PAGE>   19


THE BALANCED OPPORTUNITY FUND 
LIMITED PARTNERSHIP

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS, CONTINUED

1.   ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES, CONTINUED

     REVENUE RECOGNITION

     Futures contracts are recorded on trade date and are reflected in the
     accompanying statements of financial condition at the difference between
     the original contract amount and the market value on the last business day
     of the reporting period. The difference between the original contract
     amount (or the market value as of the last reporting date) and the current
     value is reflected as the change in net unrealized gain on open contracts.
     Market value of futures contracts are based upon exchange settlement
     prices.

     TRANSLATION GAINS AND LOSSES

     The Partnership trades in foreign denominated contracts. The assets and
     liabilities related to these activities are translated at the
     end-of-period exchange rates with the associated profits and losses
     translated at monthly average exchange rates. The resulting translation
     gains and losses are immaterial and are recorded in unrealized trading
     profit (loss).

     TRANSACTION FEES AND COSTS

     Transaction fees and costs are accrued at approximately $50 per
     contract on a round-turn basis adjusted to equal 4% of the annual net
     assets of the Partnership.

     ALLOCATION OF PROFITS AND LOSSES

     All the profits and losses, income and expenses relating to the
     operation of the Fund and the Trading Company are allocated to each
     limited partner and the General Partner based on the monthly increase or
     decrease in their respective net asset value per unit, as defined.

     REDEMPTIONS

     Investors are entitled to redeem their units (including fractional
     units in $100 increments) as of any calendar quarter-end upon ten days'
     written notice to the General Partner. No redemption charges are assessed.

     DISTRIBUTIONS

     The General Partner does not presently intend to make any distributions
     to limited partners although it may, if doing so would not reduce the
     Partnership's asset base to a level which would impair the Partnership's
     objective. Accordingly, the limited partners may incur current income tax
     liabilities in excess of any distributions received from the Partnership.


                                      6


<PAGE>   20


THE BALANCED OPPORTUNITY FUND 
LIMITED PARTNERSHIP

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS, CONTINUED

1.   ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES, CONTINUED

     INCOME TAXES

     No provision for Federal income taxes has been made in the accompanying
     financial statements, as the partners are individually responsible for
     reporting income or loss based upon their respective shares of the
     Partnership's income and expenses for income tax purposes. At June 30,
     1997, the Partnership has available state net operating loss
     carryforwards available to offset future state taxable income of $69,000.

     MANAGEMENT ESTIMATES

     The preparation of financial statements in conformity with generally
     accepted accounting principles requires management to make estimates and
     assumptions that affect the reported amounts of assets, liabilities and
     disclosures of contingent assets and liabilities at the date of the
     financial statements and the reported amounts of revenue and expenses
     during the reporting period. Actual results could differ from those
     estimates.

     RIGHT OF SETOFF OF CERTAIN AMOUNTS

     Pursuant to the Trading Company's agreement with its futures clearing
     broker, all balances placed on deposit with such broker, whether used for
     trading purposes or not, are available to be used for margin purposes on
     any exchange and for any contract in which the Trading Company trades. The
     Trading Company conducts all of its exchange-traded activity through a
     single account with its futures clearing broker. The Trading Company
     cleared all of its activity through an unrelated clearing broker during
     fiscal 1996 and through April 1997. Effective during April 1997, the
     Trading Company commenced clearing its activities through a different
     unrelated clearing broker. The Trading Company has similar agreements with
     a financial institution for its over-the-counter contracts. As a result,
     the consolidated financial statements only present the net asset or
     liability relating to such trading activities.

2.   RELATED PARTY TRANSACTIONS

     The Partnership pays Rodman .333 of 1% (a 4% annual rate) of the
     Partnership's month-end assets for brokerage and other services.
     Furthermore, the Partnership pays all execution and exchange fees. For the
     periods ended June 30, 1997, 1996 and 1995, brokerage commission and fee
     expenses totaled $205,000, $261,000 and $205,000, respectively. At June
     30, 1997 and 1996; brokerage commissions payable to Rodman totaled $24,000
     and $38,000, respectively.


                                      7


<PAGE>   21


THE BALANCED OPPORTUNITY FUND 
LIMITED PARTNERSHIP

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS, CONTINUED


3.   TRADING MANAGER

     RXR serves as the trading manager for the assets of the Trading Company.
Compensation to RXR for their services is as follows:

       CONSULTING FEE

       The Trading Company pays a consulting fee at a one percent annual rate
       based upon the average month-end net assets of the Partnership before
       reduction for any brokerage commissions or other charges as of such
       month-end.


       INCENTIVE FEE

       The Trading Company pays an incentive fee to RXR equal to 15 percent of
       any new trading profit (which includes interest income) achieved by the
       Trading Company in each calendar quarter. Such incentive fee is accrued
       in each month in which "New Appreciation" occurs. In those months in
       which "New Appreciation" is negative, previous accruals, if any, during
       the incentive period will be reduced. In those instances in which a
       limited partner redeems an investment, the incentive fee is to be paid
       to RXR through the calendar year quarter.

4.   FAIR VALUE OF FINANCIAL INSTRUMENTS

     During its 1996 fiscal year, the Partnership adopted SEAS No. 107
     entitled "Disclosure about Fair Value of Financial Instruments". The
     Partnership believes that the carrying value of its financial instruments
     is a reasonable estimate of fair value. Equity in commodity futures
     trading accounts and the guaranteed yield pool are recorded at market
     using market quotations from the Partnership's futures broker. The fair
     value of all other financial instruments reflected in the statement of
     financial condition (primarily other receivables and accrued expenses)
     approximate the recorded value due to their short-term nature.

5.   NET INCOME (LOSS) PER PARTNERSHIP UNIT

     The net income (loss) per limited partnership unit outstanding for the
     entire period is the difference between the net asset value per unit at
     the beginning and end of the period.


                                      
                                      8


<PAGE>   22

THE BALANCED OPPORTUNITY FUND 
LIMITED PARTNERSHIP

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS, CONTINUED

6.   FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK

     The Partnership is engaged in trading various financial instruments
     with off-balance sheet risk. These financial instruments include positions
     in financial futures contracts and options thereon and foreign currency
     futures contracts and options thereon. These instruments involve, in
     varying degrees, elements of credit and market risk in excess of the
     amount recognized in the statements of financial condition. Risks arise
     from the possible inability of futures commission merchants and/or
     commodity futures exchanges to meet the terms of their obligations and
     from movements in interest rates and foreign currency values.

     During its 1997 and 1996 fiscal years, the Partnership's broker,
     Rodman, utilized an unrelated clearing broker for all execution and
     clearing activities related to the Partnership's commodity trading. Margin
     requirements are satisfied by cash on deposit with such clearing broker in
     segregated and non-segregated interest bearing accounts. At June 30, 1997
     and 1996, all of the equity in commodity futures trading accounts
     reflected on the statements of financial condition is due principally from
     the respective unrelated clearing broker, each of whom are members of
     nationally recognized futures exchanges. In the event that a clearing
     broker becomes insolvent, recovery of segregated funds may be limited to a
     pro rata share of all customer segregated funds available. In such an
     instance, the Partnership could incur losses to the extent that the
     recovered amount is less than the total cash and other property deposited
     with the respective clearing broker.

     The Partnership conducts its trading with its futures commission
     merchant on commodity futures exchanges that are located in Chicago, New
     York, London, Paris, Singapore, Sydney and other major financial markets.
     The General Partner monitors the credit standing of its futures commission
     merchant with whom it conducts business.

     The Partnership also engages in trading of forward delivery foreign
     currency contracts. Trading in such contracts is done through a New York
     Branch of a major European bank and involves a variety of cross-currency
     forward positions in the major European and Far East currencies.


                                      9
                                      

<PAGE>   23


THE BALANCED OPPORTUNITY FUND 
LIMITED PARTNERSHIP

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS, CONTINUED

6.   FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK, CONTINUED

     At June 30, 1997 and 1996, open contracts were:

<TABLE>
<CAPTION>
                                              CONTRACT OR NOTIONAL AMOUNT
                                              ----------------------------
                                                  1997            1996
<S>                                           <C>             <C>
Financial futures and forward contracts:      $ 39,572,000    $ 34,091,000
  Commitments to purchase                        8,881,000      19,890,000
  Commitments to sell

Options written:
  Exchange traded options on futures                -            1,015,000

</TABLE>

The contractual amount of these instruments reflect the extent of the
Partnership's involvement in the related financial instruments and does not
represent the risk of loss due to counterparty non-performance. The
Partnership attempts to mitigate the risk of futures and forwards trading
activities through the use of daily monitoring procedures. The settlement of
these transactions is not expected to have a material adverse effect on the
statement of financial condition.

7.   TRADING ACTIVITIES

     The results of the trading activities, net of brokerage commissions,
     are summarized by those categories of financial instruments in the
     following table. Net trading income is included separately in the
     statement of operations.

<TABLE>
<CAPTION>
                                      1997         1996
<S>                                 <C>          <C>
Futures contracts                   $343,000    $(327,000)
Option contracts                    (157,000)     (25,000)
Forward contracts                     44,000      (50,000)
                                    --------    ---------
                                    $230,000    $(402,000)
                                    ========    =========
</TABLE>


                                     10


<PAGE>   24

THE BALANCED OPPORTUNITY FUND 
LIMITED PARTNERSHIP

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS, CONTINUED

7.   TRADING ACTIVITIES, CONTINUED

     For derivatives held for trading purposes (which constitute all
     derivatives held by the Partnership), the market value at June 30, 1997 and
     1996 and the average market value (calculated on a monthly basis) for the
     years then ended are as follows:

<TABLE>
<CAPTION>
                              JUNE 30, 1997           MONTHLY AVERAGE FOR 1997
                        ------------------------   -----------------------------
                          ASSET      LIABILITY          ASSET       LIABILITY
<S>                     <C>         <C>            <C>              <C>
Futures                 $ 107,000   $   (1,000)    $   131,000      $   (8,000)
Forwards                   -            (2,000)         17,000         (10,000)
Options                    -             -               2,000         (16,000)

                              JUNE 30, 1996          MONTHLY AVERAGE FOR 1996
                        ------------------------   -----------------------------
                          ASSET      LIABILITY          ASSET       LIABILITY
<S>                     <C>         <C>            <C>              <C>

Futures                 $  27,000   $    -         $    72,000      $  -
Forwards                    -           (6,000)         -             (21,000)
Options                     -          (20,000)         -              (3,000)
                                                 
</TABLE>

8.   SUBSEQUENT EVENT

     As of September 22, 1997, limited partners redeemed partnership units
     with a net asset value totaling approximately $387,000.


                                      
                                      11